Earlier this month, the Federal Reserve published its “2020 Supervisory Scenarios for the Annual Stress Tests Required under the Dodd Frank Act Stress Testing Rules and the Capital Plan Rule.” This year’s scenarios include process improvements that directly address some of the recommendations related to transparency included in a recent SIFMA white paper – Global Market Shock and Large Counterparty Default Study. However, concerns remain regarding the severity of calibration and correlation assumptions that support the Global Market Shock component and the use of the Global Market Shocks to drive the Large Counterparty Default component.

In this podcast, SIFMA Chief Operating Officer, Joseph L. Seidel, and SIFMA’s Managing Director and Head of Prudential Capital and Liquidity Policy, Coryann Stefansson, discuss what changes were made around the Global Market Shock element, but also where there remains room for improvement.

Joseph L. Seidel is SIFMA’s Chief Operating Officer and Coryann Stefansson is SIFMA’s Managing Director and Head of Prudential Capital and Liquidity Policy.

SIFMA also published a companion blog discussing the 2020 GMS here.